AN EFFECTIVE APPROXIMATION FOR ZERO-COUPON BONDS AND ARROW–DEBREU PRICES IN THE BLACK–KARASINSKI MODEL

DOI10.1142/S021902491450037XzbMath1298.91170OpenAlexW3125499251MaRDI QIDQ2929374

Luca Capriotti, Beata Stehlíková

Publication date: 12 November 2014

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s021902491450037x

zbMATH Keywords

stochastic processespower series expansionsderivative pricingBlack-Karasinski

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Approximate Formulas for Zero‐coupon Bonds
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• Pricing Interest-Rate-Derivative Securities